Application of the Kalman-Bucy filter in the stochastic differential equation for the modeling of RL circuit

Abstract

In this paper, we present an application of the stochastic calculus<br />to the problem of modeling electrical networks. The filtering problem have an<br />important role in the theory of stochastic differential equations(SDEs). In this<br />article, we present an application of the continuous Kalman-Bucy filter for a RL<br />circuit. The deterministic model of the circuit is replaced by a stochastic model by<br />adding a noise term in the source. The analytic solution of the resulting stochastic<br />integral equations are found using the Ito formula.